[Yuima-commits] r312 - in pkg/yuima: . R

[noreply at r-forge.r-project.org]

Author: lorenzo
Date: 2014-05-02 17:26:39 +0200 (Fri, 02 May 2014)
New Revision: 312

Modified:
   pkg/yuima/DESCRIPTION
   pkg/yuima/R/CarmaNoise.R
   pkg/yuima/R/qmle.R
Log:


Modified: pkg/yuima/DESCRIPTION
===================================================================
--- pkg/yuima/DESCRIPTION	2014-04-30 11:40:36 UTC (rev 311)
+++ pkg/yuima/DESCRIPTION	2014-05-02 15:26:39 UTC (rev 312)
@@ -1,8 +1,8 @@
 Package: yuima
 Type: Package
 Title: The YUIMA Project package for SDEs
-Version: 1.0.18
-Date: 2014-04-30
+Version: 1.0.19
+Date: 2014-05-02
 Depends: methods, zoo, stats4, utils, expm
 Suggests: cubature, mvtnorm
 Author: YUIMA Project Team

Modified: pkg/yuima/R/CarmaNoise.R
===================================================================
--- pkg/yuima/R/CarmaNoise.R	2014-04-30 11:40:36 UTC (rev 311)
+++ pkg/yuima/R/CarmaNoise.R	2014-05-02 15:26:39 UTC (rev 312)
@@ -207,7 +207,7 @@
   
   levy<-yuima.CarmaNoise(y,tt,ar.par,ma.par, loc.par, scale.par, lin.par,NoNeg.Noise)
   inc.levy<-diff(as.numeric(levy))
-  return(inc.levy)
+  return(inc.levy[-1]) #We start to compute the increments from the second observation. 
 }
 
 

Modified: pkg/yuima/R/qmle.R
===================================================================
--- pkg/yuima/R/qmle.R	2014-04-30 11:40:36 UTC (rev 311)
+++ pkg/yuima/R/qmle.R	2014-05-02 15:26:39 UTC (rev 312)
@@ -754,7 +754,8 @@
     }
     # INSERT HERE THE NECESSARY STEPS FOR FINDING THE PARAMETERS OF LEVY
    if(Est.Incr=="Carma.Inc"){
-     inc.levy.fin<-zoo(inc.levy,tt,frequency=1/env$h)
+     # inc.levy.fin<-zoo(inc.levy,tt,frequency=1/env$h)
+     inc.levy.fin<-zoo(inc.levy[-1],tt[(1+length(tt)-length(inc.levy[-1])):length(tt)])
      carma_final_res<-new("yuima.carma.qmle", call = call, coef = coef, fullcoef = unlist(mycoef), 
                           vcov = vcov, min = min, details = oout, minuslogl = minusquasilogl, 
                           method = method, Incr.Lev = inc.levy.fin,
@@ -1031,7 +1032,8 @@
         
 #    carma_final_res<-list(mle=final_res,Incr=inc.levy,model=yuima) 
     if(Est.Incr=="Carma.IncPar"){
-      inc.levy.fin<-zoo(inc.levy,tt,frequency=1/env$h)
+      #inc.levy.fin<-zoo(inc.levy,tt,frequency=1/env$h)
+      inc.levy.fin<-zoo(inc.levy[-1],tt[(1+length(tt)-length(inc.levy[-1])):length(tt)])
       carma_final_res<-new("yuima.carma.qmle", call = call, coef = coef, fullcoef = unlist(coef), 
                      vcov = cov, min = min, details = oout, minuslogl = minusquasilogl, 
                      method = method, Incr.Lev = inc.levy.fin,